Itô type measure-valued stochastic differential equations |
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Authors: | Feng-Yu Wang |
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Affiliation: | School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China |
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Abstract: | A class of Itô type measure-valued stochastic differential equations is studied on a locally compact Polish space. The SDEs are driven by countably many Brownian motions with interactions caused by the diffusion and the drift coefficients through countably many continuous functions. Explicit conditions are presented for the existence, uniqueness and ergodicity of the solution. |
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Keywords: | Stochastic differential equation Measure-valued process Polish space Diffusion process |
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